Input-output System Identification In The Presence Of Multiplicative Noise

Abstract

We consider the problem of estimating the parameters of a linear system, when the observed output and the control input are corrupted by multiplicative noise. We show that the classical cross-correlation techniques may be used if the multiplicative noises have non-zero mean; in the zero-mean case, higher-order cross-moments and cumulants must be used. Parametric, non-parametric and adaptive estimators are developed.